Matsuda, K. (2004), `Introduction to Merton jump diffusion model', working paper .K. Matsuda. Introduction to Merton Jump Diffusion Model. Department of Economics. The Graduate Center, The City University of New York, 2004.K. Matsuda. Introduction to Merton Jump Diffusion Model. Department of...
Introduction to Merton Jump Diffusion Model Kazuhisa Matsuda Department of Economics The Graduate Center, The City University of New York, 365 Fifth Avenue, New York, NY 10016-4309 Email: maxmatsuda@maxmatsuda.comhttp://www.maxmatsuda.com/ December 2004 Abstract This paper presents everything you...
Second part of this sequel applies FT and DFT option pricing approach for three exponential Levy models: Classic Black-Scholes model which is the only continuous exponential Levy model, Mertonjump-diffusion model (1976) which is an exponential Levy model with finite arrival rate of ...
Jump-Size R.V. have a Discrete Distribution Because almost surely and , we can use to change the measure, defining Theorem 11.6.5 (Change of compound Poisson intensity and jump distribution for finitely many jump sizes) Under , is a compound Poisson process with intensity , and are i.i.d...